A convex-risk-measure based model and genetic algorithm for portfolio selection

DOI10.1155/2015/451627MaRDI QIDQ1665701zbMATH OpenOpenAlexWikidataFDO

Authors Jie Hu, Ning Dong, Weijia Wang

Publication date 27 August 2018

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2015/451627

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

Review text

Summary: A convex risk measure called weighted expected shortfall (briefly denoted as WES [\textit{Z. Chen} and \textit{L. Yang}, ``Nonlinearly weighted convex risk measure and its application, J. Banking Finance 35, No. 7, 1777--1793 (2011; \url{doi:10.1016/j.jbankfin.2010.12.004})] is adopted as the risk measure. This measure can reflect the reasonable risk in the stock markets. Then a portfolio optimization model based on this risk measure is set up. Furthermore, a genetic algorithm is proposed for this portfolio optimization model. At last, simulations are made on randomly chosen ten stocks for 60 days (during January 2, 2014 to April 2, 2014) from Wind database (CFD) in Shenzhen Stock Exchange, and the results indicate that the proposed model is reasonable and the proposed algorithm is effective.

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Cites work

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Cited in

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• Optimal portfolio selection by CVAR based Sharpe ratio -- genetic algorithm approach

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